Stable implied calibration of a multi-factor LIBOR model via semi-parametric correlation structure
John Schoenmakers ...
| Year of publication: |
13 Oct. 2000 ; [Elektronische Ressource]
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| Other Persons: | Schoenmakers, John (contributor) ; Coffey, Brian (contributor) |
| Institutions: | Weierstraß-Institut für Angewandte Analysis und Stochastik (contributor) |
| Publisher: |
Berlin : Weierstraß-Inst. für Angewandte Analysis und Stochastik |
| Subject: | Zinsderivat | Interest rate derivative | Arbitrage Pricing | Arbitrage pricing | Optionspreistheorie | Option pricing theory | Faktorenanalyse | Factor analysis | Nichtparametrisches Verfahren | Nonparametric statistics | Theorie | Theory | Korrelation | Correlation |
| Extent: | Online-Ressource, 15 p., text ill |
|---|---|
| Series: | Preprint / Weierstraß-Institut für Angewandte Analysis und Stochastik. - Berlin : WIAS, ISSN 2198-5855, ZDB-ID 2209274-2. - Vol. 611] |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Notes: | Systemvoraussetzungen: Acrobat reader Systemvoraussetzungen: Postscript |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10001544421